mirror of
https://github.com/luxfi/dex.git
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zeekay
be975c5dc1
Add 265+ tests across TypeScript and Python SDKs covering: - Types: TradingPair parsing, Balance, Order, Trade, Ticker - Math: Black-Scholes, Greeks, IV, AMM pricing, risk metrics - Orderbook: bid/ask sorting, spread, liquidity, VWAP, venue routing - Risk: kill switch, position limits, order limits, PnL tracking TypeScript: 133 tests (97% coverage) Python: 132 tests (all passing)
319 lines
10 KiB
Python
319 lines
10 KiB
Python
"""Tests for LX Trading SDK orderbook module."""
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import pytest
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from decimal import Decimal
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from lx_trading.orderbook import Orderbook, AggregatedOrderbook
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from lx_trading.types import Side
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class TestOrderbook:
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def test_create_orderbook(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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assert book.symbol == "BTC-USDC"
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assert book.venue == "lx"
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assert book.timestamp > 0
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def test_add_and_retrieve_bids(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_bid(Decimal("100"), Decimal("1"))
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book.add_bid(Decimal("99"), Decimal("2"))
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book.sort()
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assert len(book.bids) == 2
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assert book.bids[0].price == Decimal("100") # Highest first
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assert book.bids[1].price == Decimal("99")
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def test_add_and_retrieve_asks(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_ask(Decimal("102"), Decimal("1.5"))
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book.add_ask(Decimal("101"), Decimal("2.5"))
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book.sort()
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assert len(book.asks) == 2
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assert book.asks[0].price == Decimal("101") # Lowest first
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assert book.asks[1].price == Decimal("102")
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def test_sort_order(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_bid(Decimal("98"), Decimal("1"))
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book.add_bid(Decimal("100"), Decimal("1"))
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book.add_bid(Decimal("99"), Decimal("1"))
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book.add_ask(Decimal("103"), Decimal("1"))
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book.add_ask(Decimal("101"), Decimal("1"))
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book.add_ask(Decimal("102"), Decimal("1"))
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book.sort()
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assert book.bids[0].price == Decimal("100")
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assert book.bids[1].price == Decimal("99")
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assert book.bids[2].price == Decimal("98")
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assert book.asks[0].price == Decimal("101")
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assert book.asks[1].price == Decimal("102")
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assert book.asks[2].price == Decimal("103")
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class TestOrderbookPrices:
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def test_best_bid(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_bid(Decimal("100"), Decimal("1"))
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book.add_bid(Decimal("99"), Decimal("2"))
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book.sort()
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assert book.best_bid == Decimal("100")
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def test_best_ask(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_ask(Decimal("101"), Decimal("1"))
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book.add_ask(Decimal("102"), Decimal("2"))
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book.sort()
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assert book.best_ask == Decimal("101")
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def test_empty_book(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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assert book.best_bid is None
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assert book.best_ask is None
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def test_mid_price(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_bid(Decimal("100"), Decimal("1"))
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book.add_ask(Decimal("102"), Decimal("1"))
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book.sort()
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assert book.mid_price == Decimal("101")
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def test_spread(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_bid(Decimal("100"), Decimal("1"))
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book.add_ask(Decimal("102"), Decimal("1"))
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book.sort()
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assert book.spread == Decimal("2")
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def test_spread_percent(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_bid(Decimal("100"), Decimal("1"))
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book.add_ask(Decimal("102"), Decimal("1"))
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book.sort()
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# spread = 2, mid = 101, spread% = 2/101*100 ≈ 1.98
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assert book.spread_percent is not None
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assert abs(float(book.spread_percent) - 1.98) < 0.01
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class TestOrderbookLiquidity:
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def test_bid_liquidity(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_bid(Decimal("100"), Decimal("1")) # 100 value
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book.add_bid(Decimal("99"), Decimal("2")) # 198 value
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book.sort()
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assert book.bid_liquidity == Decimal("298")
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def test_ask_liquidity(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_ask(Decimal("101"), Decimal("1.5")) # 151.5 value
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book.add_ask(Decimal("102"), Decimal("2.5")) # 255 value
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book.sort()
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assert book.ask_liquidity == Decimal("406.5")
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def test_bid_depth(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_bid(Decimal("100"), Decimal("1")) # 100 value
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book.add_bid(Decimal("99"), Decimal("2")) # 198 value
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book.add_bid(Decimal("98"), Decimal("3")) # 294 value
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book.sort()
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assert book.bid_depth(1) == Decimal("100")
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assert book.bid_depth(2) == Decimal("298")
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def test_ask_depth(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_ask(Decimal("101"), Decimal("1.5")) # 151.5
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book.add_ask(Decimal("102"), Decimal("2.5")) # 255
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book.sort()
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assert book.ask_depth(1) == Decimal("151.5")
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class TestOrderbookVWAP:
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def test_vwap_small_buy(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_ask(Decimal("100"), Decimal("1"))
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book.add_ask(Decimal("101"), Decimal("2"))
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book.add_ask(Decimal("102"), Decimal("3"))
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book.sort()
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vwap = book.vwap_buy(Decimal("0.5"))
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assert vwap == Decimal("100")
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def test_vwap_across_levels(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_ask(Decimal("100"), Decimal("1"))
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book.add_ask(Decimal("101"), Decimal("2"))
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book.add_ask(Decimal("102"), Decimal("3"))
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book.sort()
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# Buying 2.5: 1@100 + 1.5@101 = 100 + 151.5 = 251.5 / 2.5 = 100.6
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vwap = book.vwap_buy(Decimal("2.5"))
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assert vwap is not None
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assert abs(float(vwap) - 100.6) < 0.01
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def test_vwap_sell(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_bid(Decimal("100"), Decimal("1"))
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book.add_bid(Decimal("99"), Decimal("2"))
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book.sort()
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vwap = book.vwap_sell(Decimal("0.5"))
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assert vwap == Decimal("100")
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def test_vwap_empty_book(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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assert book.vwap_buy(Decimal("1")) is None
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assert book.vwap_sell(Decimal("1")) is None
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class TestOrderbookHasLiquidity:
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def test_sufficient_liquidity_buy(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_ask(Decimal("100"), Decimal("5"))
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book.sort()
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assert book.has_liquidity(Side.BUY, Decimal("3")) is True
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assert book.has_liquidity(Side.BUY, Decimal("10")) is False
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def test_sufficient_liquidity_sell(self):
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book = Orderbook(symbol="BTC-USDC", venue="lx")
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book.add_bid(Decimal("100"), Decimal("5"))
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book.sort()
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assert book.has_liquidity(Side.SELL, Decimal("3")) is True
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assert book.has_liquidity(Side.SELL, Decimal("10")) is False
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class TestAggregatedOrderbook:
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@pytest.fixture
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def test_books(self):
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book1 = Orderbook(symbol="BTC-USDC", venue="venue1")
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book1.add_bid(Decimal("100"), Decimal("1"))
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book1.add_ask(Decimal("102"), Decimal("1"))
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book1.sort()
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book2 = Orderbook(symbol="BTC-USDC", venue="venue2")
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book2.add_bid(Decimal("99"), Decimal("2"))
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book2.add_ask(Decimal("101"), Decimal("1.5"))
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book2.sort()
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return book1, book2
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def test_aggregate_orderbooks(self, test_books):
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book1, book2 = test_books
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agg = AggregatedOrderbook("BTC-USDC")
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agg.add_orderbook(book1)
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agg.add_orderbook(book2)
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assert len(agg.bids) == 2
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assert len(agg.asks) == 2
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def test_best_bid_across_venues(self, test_books):
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book1, book2 = test_books
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agg = AggregatedOrderbook("BTC-USDC")
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agg.add_orderbook(book1)
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agg.add_orderbook(book2)
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best = agg.best_bid()
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assert best is not None
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price, venue, qty = best
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assert price == Decimal("100")
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assert venue == "venue1"
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def test_best_ask_across_venues(self, test_books):
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book1, book2 = test_books
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agg = AggregatedOrderbook("BTC-USDC")
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agg.add_orderbook(book1)
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agg.add_orderbook(book2)
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best = agg.best_ask()
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assert best is not None
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price, venue, qty = best
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assert price == Decimal("101")
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assert venue == "venue2"
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def test_empty_aggregated_book(self):
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agg = AggregatedOrderbook("BTC-USDC")
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assert agg.best_bid() is None
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assert agg.best_ask() is None
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def test_aggregated_bids(self, test_books):
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book1, book2 = test_books
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agg = AggregatedOrderbook("BTC-USDC")
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agg.add_orderbook(book1)
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agg.add_orderbook(book2)
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bids = agg.aggregated_bids()
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assert len(bids) == 2
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assert bids[0].price == Decimal("100") # Highest first
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assert bids[1].price == Decimal("99")
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def test_aggregated_asks(self, test_books):
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book1, book2 = test_books
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agg = AggregatedOrderbook("BTC-USDC")
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agg.add_orderbook(book1)
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agg.add_orderbook(book2)
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asks = agg.aggregated_asks()
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assert len(asks) == 2
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assert asks[0].price == Decimal("101") # Lowest first
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assert asks[1].price == Decimal("102")
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def test_sum_quantities_same_price(self):
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agg = AggregatedOrderbook("BTC-USDC")
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book1 = Orderbook(symbol="BTC-USDC", venue="venue1")
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book1.add_bid(Decimal("100"), Decimal("1"))
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book1.sort()
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book2 = Orderbook(symbol="BTC-USDC", venue="venue2")
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book2.add_bid(Decimal("100"), Decimal("2"))
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book2.sort()
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agg.add_orderbook(book1)
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agg.add_orderbook(book2)
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bids = agg.aggregated_bids()
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assert len(bids) == 1
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assert bids[0].quantity == Decimal("3") # 1 + 2
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def test_best_venue_buy(self, test_books):
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book1, book2 = test_books
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agg = AggregatedOrderbook("BTC-USDC")
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agg.add_orderbook(book1)
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agg.add_orderbook(book2)
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best = agg.best_venue_buy(Decimal("1"))
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assert best is not None
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venue, price = best
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assert venue == "venue2" # Lower ask at 101
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assert price == Decimal("101")
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def test_best_venue_sell(self, test_books):
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book1, book2 = test_books
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agg = AggregatedOrderbook("BTC-USDC")
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agg.add_orderbook(book1)
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agg.add_orderbook(book2)
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best = agg.best_venue_sell(Decimal("0.5"))
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assert best is not None
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venue, price = best
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assert venue == "venue1" # Higher bid at 100
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assert price == Decimal("100")
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def test_best_venue_empty_book(self):
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agg = AggregatedOrderbook("BTC-USDC")
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assert agg.best_venue_buy(Decimal("1")) is None
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assert agg.best_venue_sell(Decimal("1")) is None
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